Dambazau is said to have made an initial stop at the Government House to see Governor Nasir El-Rufai before proceeding to Zaria, Punch reports.
The battle between the army and the Shiites occurred in Zaria, Kaduna State, on December 12, 2015, after members of the sect allegedly attempted to assassinate Chief of Army Staff, Tukur Buratai.
The conflict escalated after soldiers surrounded the home of the group's leader, Sheikh Ibrahim Zakzaky on Saturday.
The resulting gunfight is said to have led to the deaths of Zakzaky's wife and son and also the group's Second-in-Command, Sheik Muhammad Turi.
Zakzaky himself has reportedly been arrested by the army while the group claims that 500 of its members were killed during the attacks.
Meanwhile, Shiite Muslims have taken to the streets of major cities in Nigeria to protest the killing of their members by the Nigerian Army.
A similar protest is also reportedly taking place outside the Nigerian Embassy in the Islamic Republic of Iran.
The marches are ongoing in Kaduna, Kano, Kebbi and Bauchi States and the protesters are said to also be demanding Zakzaky's release.
